Annual Financial Statements 2011 of Bank Austria

More documents

Recommendations

Info

Consolidated Financial Statements in accordance with IFRSs E – Risk report (CoNTINuED) E.1 – overall risk management including Basel 2 UniCredit Bank Austria AG identifies, measures, monitors and manages all risks of the Bank Austria Group. In performing these tasks, Bank Austria works closely with the risk control and risk management units of UniCredit. In this context, UniCredit Bank Austria AG supports UniCredit’s ongoing projects which are aimed at establishing uniform group-wide risk controlling procedures. UniCredit Bank Austria AG divides the monitoring and controlling processes associated with risk management into the following categories: market risk, liquidity risk, counterparty risk, credit risk, operational risk, business risk, financial investment risk and real estate risk. The Management Board determines the risk policy and approves the principles of risk management, the establishment of limits for all relevant risks, and the risk control procedures. In performing these tasks, the Management Board is supported by specific committees and independent risk management units. All risk management activities of UniCredit Bank Austria AG are combined within a management function at Management Board level directed by the Chief Risk Officer (CRO); secondary lending decisions for corporate customers are made in the CIB Credit Operations, CEE Credit Operations and Market Risk departments, and for private customers and business customers in the Risk Management Family & SME Banking (+PB) department. The Special Credit Austria and CEE Credit Operations departments deal with problem loans. These organisational units are supported by the Strategic Risk Management & Control department. Credit risk control of the CEE business units is performed by the CEE Risk Control and CEE Credit Operations departments. The unit for active credit portfolio management (Credit Treasury) reports directly to the Chief Financial Officer (CFO). Cross-divisional control The Asset/Liability Committee (ALCO) is responsible for the management of balance-sheet structure positions, it deals with cross-divisional risk management issues arising between sales units and overall bank management, and provides an overview of credit portfolio model results while also preparing reports on economic capital (Pillar II). Liquidity risk control is performed by a separate committee which was set up in 2008 and meets once a week to deal with current liquidity-related topics. These include operational aspects of liquidity management including market monitoring; and compliance with the liquidity policy, with CEE banking subsidiaries also being covered in this context – Bank Austria acts as a regional liquidity centre of UniCredit Group. Control of market risk is ensured by the Market Risk Committee (MACO), which meets once a week. MACO deals with short-term business management issues relating to the presentation and discussion of the risk/earnings position of Markets within the CIB Division and with limit adjustments, product approvals and positioning decisions. In addition, the general framework and limits for banking subsidiaries are defined by MACO. Credit risk is assessed by the Credit Committee. The Operational Risk Committee (OpRiCo) meets on a quarterly basis to deal with operational risk issues. Counterparty risk arising from derivative transactions is managed by the Derivative Committee (DECO). DECO deals with classic credit risk issues and aspects of reputational risk in customer business. The Management Board of UniCredit Bank Austria AG sets risk limits for market risk activities of the entire Bank Austria Group at least once a year, in coordination with UniCredit Group. MACO, which holds a meeting every week, makes limit decisions at the operational level and analyses the risk and earnings positions of the bank’s Markets units. ALCO performs analyses and makes decisions with regard to business activities closely connected with customer business (in particular, balance sheet structure and risk management issues arising between sales units and overall bank management). The decisions and results of these committees are reported directly to the bank’s full Management Board. Risk Management, which is separate from the business divisions up to Management Board level, is in charge of preparing analyses and monitoring compliance with limits. In April 2011, the IMOD market risk model used across UniCredit Group was approved by the regulatory authorities. It also replaced UniCredit Bank Austria’s model, used for many years, for the calculation of regulatory capital. The Stressed VaR and Incremental Risk Charge (IRC) models were also approved for regulatory purposes in 2011; in December they started to be used for the calculation of capital resources in the trading book. The Bank Austria Group applies the principle of value-based management. In line with this principle, for pricing purposes in business and customer relations (micro control), capital employed is expected to yield a specific return. Beyond compliance with the regulatory capital rules pursuant to Section 39 of the Austrian Banking Act, economic capital (Pillar II) is intended to reflect the bank’s specific risk profile in a comprehensive and more consistent way. These unexpected losses over a period of one year are calculated with a confidence level of 99.97%. Value-at-risk methodologies are used in the Bank Austria Group for calculating or planning economic capital for all specified types of risk (credit risk, market risk, operational risk, business risk, financial investment risk and real estate risk). Under the risk-taking capacity concept, economic capital is compared with available financial resources and monitored on an ongoing basis. The Bank Austria Group is included in the risk monitoring and risk management system of the entire UniCredit Group. This ensures overall risk management across the Group. Bank Austria · Annual Financial Statements 2011 136
Consolidated Financial Statements in accordance with IFRSs E – Risk report (CoNTINuED) Current status of the application of the internal ratings-based approach (IRB approach) to credit risk in the Bank Austria Group UniCredit Bank Austria AG has applied the internal ratings-based approach since March 2008, using its own estimates of loss given default and of conversion factors for the major part of its loan portfolio (advanced IRB approach). The bank is planning to introduce various other Group-wide models while also further refining and developing local models. Banca d’Italia (the Bank of Italy), the home supervisor of UniCredit Group, is responsible for all approvals at Group level, while local supervisory authorities are responsible for local topics in the legal entities and for local on-site reviews. Regulatory issues are being dealt with in close cooperation between home and host regulators (college of supervisors). Implementation of the advanced IRB approach has been established as a Group-wide programme. Therefore UniCredit is responsible for Groupwide decisions and guidelines as well as for the development of Group-wide models. For example, Group-wide homogeneous portfolios have been defined for which uniform rating models are used across the Group, such as those for countries, banks and multinational companies. Group standards have for the most part already been prepared and adopted by the UniCredit Group holding company in cooperation with the major IRB legal entities, and are used as an instrument for uniform Group-wide implementation, with a view to complying with local legal requirements – some of which differ from country to country – and safeguarding Group interests. These Group standards will continue to be gradually extended and complemented. The Group standards continue to be integrated step by step in the processes and organisational set-up of all business areas and Group units, with account being taken of local features and legal requirements in ensuring Basel 2 compliance. Austrian subsidiaries All Austrian subsidiaries of UniCredit Bank Austria AG started to use the standardised approach in 2008. From a current perspective, for reasons of materiality, it is not planned to switch to one of the IRB approaches. CEE subsidiaries The CEE subsidiaries have used the standardised approach to credit risk since the beginning of 2008. Based on a detailed roll-out plan, there are plans to switch to the advanced IRB approach at most of the CEE banking subsidiaries in line with the Group’s decision to use the advanced IRB approach. According to the detailed roll-out plan communicated to the supervisory authorities involved, the switch to the A-IRB approach takes place at the relevant CEE subsidiaries step by step. Most subsidiaries start with the Foundation IRB approach (F-IRB). In the course of the cross-border approval process, supervisory IRB assessments took place in an initial group of CEE subsidiaries in 2010. For the CEE subsidiaries UniCredit Bulbank AD, UniCredit Bank Czech Republic, a.s., and UniCredit Bank Slovenija d.d., the application of the F-IRB approach was approved as at 1 January 2011. The application of the F-IRB approach at UniCredit Bank Hungary Zrt. was approved as at 1 July 2011. Further approvals for the application of the F-IRB approach at the CEE subsidiaries UniCredit Tiriac Bank S.A. and UniCredit Bank Slovakia a.s. are expected for 2012. Current status of the application of the advanced measurement approach (AMA) for operational risk in the Bank Austria Group UniCredit Bank Austria AG has used the AMA since the beginning of 2008. Austrian subsidiaries Schoellerbank has applied the AMA in the area of operational risk since 2009. CEE subsidiaries In the reporting period, approval for the use of the AMA in the area of operational risk was available for the banking subsidiaries in the Czech Republic, in Slovakia, Hungary, Slovenia, Croatia, Bulgaria and Romania. In the next few years, AMA preparations will concentrate on ZAO UniCredit Bank Russia, Yapı ve Kredi Bankasi AS and UniCredit Bank Serbia JSC. Bank Austria · Annual Financial Statements 2011 137
Page 1:
Annual Financial Statements 2011 of
Page 4 and 5:
Bank Austria at a Glance Income sta
Page 6 and 7:
Management Report Management Report
Page 8 and 9:
Page 10 and 11:
Page 12 and 13:
Page 14 and 15:
Page 16 and 17:
Page 18 and 19:
Page 20 and 21:
Page 22 and 23:
Page 24 and 25:
Page 26 and 27:
Page 28 and 29:
Page 30 and 31:
Page 32 and 33:
Page 34 and 35:
Page 36 and 37:
Page 38 and 39:
Page 40 and 41:
Page 42 and 43:
Page 44 and 45:
Page 46 and 47:
Page 48 and 49:
Page 50 and 51:
Page 52 and 53:
Page 54 and 55:
Page 56 and 57:
Page 58 and 59:
Page 61 and 62:
Consolidated Financial Statements i
Page 63 and 64:
Page 65 and 66:
Page 69:
Notes to the Consolidated Financial
Page 72 and 73:
Page 74 and 75:
Page 76 and 77:
Page 78 and 79:
Page 80 and 81:
Page 82 and 83:
Page 84 and 85:
Page 86 and 87:
Page 88 and 89: Consolidated Financial Statements i
Page 97 and 98: B - Notes to the income statement B
Page 107: Consolidated Financial Statements i
Page 167 and 168: F - Additional disclosures F.1 - Ti
Page 185 and 186: II. UniCredit Bank Austria AG Preli
Page 187 and 188: Management Report of UniCredit Bank
Page 189 and 190:
Management Report of UniCredit Bank
Page 191 and 192:
Page 193 and 194:
Page 195 and 196:
Page 197 and 198:
Page 199 and 200:
Page 201 and 202:
Page 203 and 204:
Page 205 and 206:
Page 207 and 208:
Page 209 and 210:
Page 211 and 212:
Page 213 and 214:
Financial Statements of UniCredit B
Page 215 and 216:
Financial Statements of UniCredit B
Page 217 and 218:
Notes to the Financial Statements o
Page 219 and 220:
Page 221 and 222:
Page 223 and 224:
Page 225 and 226:
Page 227 and 228:
Page 229 and 230:
Page 231 and 232:
Page 233 and 234:
Page 235 and 236:
Page 237 and 238:
Page 239 and 240:
Shares in group companies and equit
Page 241 and 242:
Supervisory Board and Management Bo
Page 243 and 244:
Financial Statements for 2011 Bank
Page 245 and 246:
Financial Statements for 2011 An au
Page 247 and 248:
Financial Statements for 2011 Prüf
Page 249 and 250:
Financial Statements for 2011 Bank
Page 251 and 252:
Financial Statements for 2011 State
Page 253:
Investor Relations UniCredit Bank A
show all

Annual Financial Statements 2011 of Bank Austria

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?